Individual loss reserving for multi-coverage insurance
Abstract
Abstract Individual loss reserving methods have undergone substantial development in the past decade, driven by increased accessibility to granular-level insurance claims data. This paper presents a micro loss reserving model tailored for multi-coverage insurance policies, where a single insurance claim might trigger payments from multiple coverage types. We employ a copula-based multivariate regression approach to jointly model the settlement time and loss amount, effectively capturing the dependence among various types of loss amounts and their correlation with the settlement time. We stress the importance of considering both types of dependence for accurate reserving prediction and uncertainty quantification. Furthermore, we propose computationally efficient algorithms for parameter estimation and dynamic prediction. Through numerical experiments and real data analysis, we demonstrate the effectiveness of our proposed multivariate predictive model in loss reserving applications.
Fields of Study & Subjects
Probability and Risk Models
Insurance and Financial Risk Management
Insurance
Mortality
Demography
Risk Management
Publication details
- Journal / source
- Astin Bulletin
- Volume
- 56
- Issue
- 2
- Pages
- 295–316
- Publication date
- 16 February 2026
- Language
- EN